Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0369
Annualized Std Dev 0.3092
Annualized Sharpe (Rf=0%) 0.1194

Row

Daily Return Statistics

Close
Observations 4146.0000
NAs 1.0000
Minimum -0.1952
Quartile 1 -0.0066
Median 0.0008
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0076
Maximum 0.1701
SE Mean 0.0003
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0009
Variance 0.0004
Stdev 0.0195
Skewness 0.0090
Kurtosis 16.1729

Downside Risk

Close
Semi Deviation 0.0138
Gain Deviation 0.0154
Loss Deviation 0.0161
Downside Deviation (MAR=210%) 0.0179
Downside Deviation (Rf=0%) 0.0137
Downside Deviation (0%) 0.0137
Maximum Drawdown 0.7576
Historical VaR (95%) -0.0251
Historical ES (95%) -0.0472
Modified VaR (95%) -0.0253
Modified ES (95%) -0.0253
From Trough To Depth Length To Trough Recovery
2007-02-08 2009-03-06 2015-01-16 -0.7576 2000 523 1477
2020-02-24 2020-03-23 NA -0.4284 272 21 NA
2016-08-02 2018-12-24 2019-09-03 -0.2257 777 604 173
2015-01-28 2016-02-11 2016-06-30 -0.1938 360 263 97
2005-08-03 2005-10-12 2006-01-27 -0.1210 123 50 73

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA NA NA NA NA NA NA 1.9 1 1.9 -0.3 4.6
2005 0.7 1 0.1 1.3 1.1 0.9 -0.1 0.9 1.6 -2.2 1.5 -0.3 6.7
2006 0.5 0.6 0.2 -1.2 1.8 0.8 -0.5 -0.6 -0.2 -0.8 -0.2 0.5 0.8
2007 0.4 -0.9 1.4 -0.9 0.1 -0.4 1.3 1.7 2.4 -4.7 2.7 0.8 4
2008 4.2 -1.4 5.7 2.2 -0.5 -0.1 0.1 -0.7 -2.4 6.4 -19.5 5.3 -3.5
2009 -4.1 -1.3 -0.5 -3.3 5.1 1.7 -0.1 -5.3 -4.5 -1.7 1.5 -1.7 -13.8
2010 1.8 0.9 0.5 -3.1 -2.1 -0.3 0.6 3.3 0.5 0.9 0.6 -0.2 3.1
2011 0.2 -3 0.2 -0.6 -2.9 1.7 -1.5 -1.4 -2.7 -3.2 -0.8 -0.4 -13.6
2012 1 0.6 0.8 1.1 -2.4 2.6 -0.5 0.3 -0.7 0.5 0.2 1.1 4.5
2013 0.6 0.3 0.3 -0.8 -1.3 -0.2 -0.4 -0.8 1.5 0.5 -0.9 -0.5 -1.9
2014 0.5 0.9 0.5 0.4 0.5 0.5 -0.2 0.5 0.1 1.3 -0.2 -1.7 3
2015 -2.1 0.8 -0.1 0.8 1.2 1.6 0.8 -1.9 0.5 -0.9 1.4 -0.9 1.1
2016 0.2 2.8 -0.1 -0.9 0.1 0 0.2 -0.2 -0.7 -2.2 -1.5 1.3 -1.1
2017 -1.2 -0.3 0.6 0.6 0.5 0 0.5 0.3 0.2 0.5 0.2 0 2
2018 -2.2 0.1 -0.1 0.9 0.4 0.2 0.7 0.4 -0.9 0.5 0.9 0.3 1.2
2019 -0.6 -0.3 -0.1 0.1 0.6 0 0 0.1 -0.9 0 -0.5 0.7 -1
2020 -1.2 -2.4 -6.6 -3.4 2.3 2.3 -0.2 0.1 2 -0.7 1.3 1 -5.7
2021 2.3 0.4 -1.4 NA NA NA NA NA NA NA NA NA 1.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-09-29  49.8 SPY    112.  0.005    0.0026   0.0119  -0.0235    0.108   0.0936   -0.125 <NA>     NA    NA       NA
2 2004-09-30  50.2 SPY    112. -0.0007   0.0073   0.0059  -0.0104    0.118   0.0701   -0.125 <NA>     NA    NA       NA
3 2004-10-01  51.2 SPY    114.  0.0169   0.0196   0.0209   0.0068    0.113   0.09     -0.116 <NA>     NA    NA       NA
4 2004-10-04  51.4 SPY    114.  0.0017   0.0279   0.0112   0.0174    0.111   0.0782   -0.113 <NA>     NA    NA       NA
5 2004-10-05  51.4 SPY    114.  0.0005   0.0235   0.0159   0.015     0.102   0.061    -0.102 <NA>     NA    NA       NA
6 2004-10-06  51.6 SPY    115.  0.0063   0.0249   0.0156   0.0287    0.104   0.0668   -0.110 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart